Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0690
Annualized Std Dev 0.3268
Annualized Sharpe (Rf=0%) 0.2110

Row

Daily Return Statistics

Close
Observations 3522.0000
NAs 1.0000
Minimum -0.1539
Quartile 1 -0.0088
Median 0.0006
Arithmetic Mean 0.0005
Geometric Mean 0.0003
Quartile 3 0.0102
Maximum 0.1927
SE Mean 0.0003
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0012
Variance 0.0004
Stdev 0.0206
Skewness 0.4704
Kurtosis 9.8199

Downside Risk

Close
Semi Deviation 0.0143
Gain Deviation 0.0158
Loss Deviation 0.0150
Downside Deviation (MAR=210%) 0.0186
Downside Deviation (Rf=0%) 0.0141
Downside Deviation (0%) 0.0141
Maximum Drawdown 0.7235
Historical VaR (95%) -0.0303
Historical ES (95%) -0.0479
Modified VaR (95%) -0.0265
Modified ES (95%) -0.0265
From Trough To Depth Length To Trough Recovery
2007-11-01 2008-10-27 2018-01-05 -0.7235 2563 249 2314
2018-01-29 2019-01-03 2020-09-01 -0.3371 654 235 419
2007-07-24 2007-08-16 2007-08-27 -0.1682 25 18 7
2021-02-18 2021-03-08 NA -0.1613 23 13 NA
2007-10-18 2007-10-19 2007-10-31 -0.0876 10 2 8

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA -0.8 0.7 1.5 -0.4 -2.5 3 2.7 -4.7 1.1 -0.3 0
2008 4.2 -2.9 6.3 1.8 0 -1 1.1 -0.4 -0.6 -0.4 -7.5 1.2 1.2
2009 1.4 -1.5 2.2 0.6 4.7 1.6 0.1 -2.2 -3.3 -3.4 3.1 0.5 3.5
2010 2.8 2 2.7 -0.7 -2.1 0.5 0.5 2.6 0.9 0.9 2.4 0.7 13.8
2011 1.2 -0.8 0.9 0 -1.5 1.1 -0.3 -1.2 -5.7 -1.3 -0.1 0.1 -7.6
2012 1.6 0.3 0.9 0.9 -2.5 3.5 0.4 0.5 0.6 2.8 0.2 1.9 11.7
2013 0.5 -0.3 -1.1 -1.4 -1.7 -0.1 2.5 0.1 1.5 0.7 0.3 1 2
2014 -0.4 -0.4 1.1 0.4 -0.1 0.6 0.5 0 -2 1.2 -2.7 1.3 -0.6
2015 -2.1 -0.2 1.6 0.8 1.5 -0.6 -0.5 -4.2 0.7 0.2 0.8 -0.4 -2.5
2016 -1.4 3.5 -0.3 -0.9 -1.1 0.6 0 1 0.2 -0.1 -0.6 0 0.9
2017 0 1.3 -0.6 0.5 1.2 0.2 0.6 0.2 1.4 0.8 -1.2 0 4.6
2018 -2.3 -0.1 1.6 0.2 1.9 1.5 -1.7 0.3 0.1 5 1.5 -0.2 7.9
2019 -0.5 1 1.5 -0.1 0.1 2 -3 0.1 -0.5 1.7 -1.8 0.3 0.5
2020 -1.9 0.2 -3.2 -4.1 1.9 0.9 0 2 1 -1.6 0.8 0.2 -3.9
2021 2.5 2.7 0.6 NA NA NA NA NA NA NA NA NA 6

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2007-03-23  53.6 SPY    143.  0.0015    0.0351  -0.017    0.0082   0.0998    0.308    0.244 GLD    65.2 -0.00930   0.0082
2 2007-03-26  54   SPY    143. -0.0013    0.0214  -0.0145   0.0075   0.101     0.308    0.245 GLD    65.8  0.0106    0.017 
3 2007-03-27  53.6 SPY    143. -0.00240   0.0134  -0.0159   0.0088   0.0972    0.304    0.258 GLD    65.7 -0.0021    0.0066
4 2007-03-28  52.8 SPY    142. -0.0073   -0.0103   0.0166   0.0076   0.0908    0.278    0.241 GLD    66.0  0.0053    0.0035
5 2007-03-29  54.0 SPY    142.  0.0011   -0.0085   0.0074   0.0028   0.0987    0.279    0.239 GLD    65.6 -0.0061   -0.0017
6 2007-03-30  53.6 SPY    142   0.0002   -0.0097   0.0106  -0.0036   0.0921    0.261    0.24  GLD    65.7  0.0014    0.0091
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart